I prefer to keep them and play them as much as I can. There seems to be a bug with loanees, they are assigned to "no training" (have you noticed, when you loan someone they are not automatically assigned to any training, while if you buy someone they go straight to "general")?
I don't trust the CPU one bit. Worst case scenario would be to loan my upcoming star to a FL1 club with poor facilities if he's not played regularly either. No training and little game time = recipe for disaster.
That being said, I'm not sure how much playing time actually matters. I've had teens in my reserves and they suddenly get a massive boost (assistant message saying he's developing into a good player or something). Seems they'll improve anyway, as long as they are training and have some PA to fulfill.